英文标题：
《Derivatives pricing using signature payoffs》
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作者：
Imanol Perez Arribas
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最新提交年份：
2018
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英文摘要：
We introduce signature payoffs, a family of path-dependent derivatives that are given in terms of the signature of the price path of the underlying asset. We show that these derivatives are dense in the space of continuous payoffs, a result that is exploited to quickly price arbitrary continuous payoffs. This approach to pricing derivatives is then tested with European options, American options, Asian options, lookback options and variance swaps. As we show, signature payoffs can be used to price these derivatives with very high accuracy.
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中文摘要：
我们引入了签名支付，这是一系列路径相关衍生工具，根据标的资产价格路径的签名给出。我们证明了这些导数在连续收益空间中是稠密的，这一结果被用来快速为任意连续收益定价。然后用欧洲期权、美国期权、亚洲期权、回望期权和方差掉期对这种衍生品定价方法进行测试。正如我们所展示的，签名支付可以用来对这些衍生品进行非常高精度的定价。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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